At the download page, three different resolutions of the data are available with a scale of 1:10m, 1:50m, or 1:110m. The data itself is stored as shape files on naturalearthdata.com. Hence I wrote a script that converts the data first to a csv file using the ogr2ogr program. Afterwards the data is shaped with sed into the form of the original world.dat file.
Here are the resulting files:

Fig.1 shows the result for a resolution of 1:110m. Note that we have to use linetype instead of linestyle in gnuplot 4.6 in order to set the colors of the grid and coast line.

In order to compare the different resolutions of the coast line files, we plot only the part of the map where Denmark is located (which is completely missing in the original data).
Here is the example code for a scale of 1:110m.